Gruesome Menagerie doesn’t target the cards to return. You choose them while it’s resolving. No players may take actions between the time you make each choice and the time you return them to the battlefield.

10/5/2018

If a card in your graveyard has in its mana cost, X is considered to be 0.

10/5/2018

If you don’t have a creature card in your graveyard with one converted mana cost, you just continue on to the next.